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Premium loadings for non-participating business

Published online by Cambridge University Press:  20 April 2012

J. H. Pollard
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Extract

Actuaries tend to use deterministic rather than stochastic methods and confine their calculations to the computation of expectations. The adverse effects of statistical fluctuations are usually avoided by including contingency margins in the calculations and professional judgment plays a large part in the determination of the margins. In this paper, we show how the results of two recent theoretical papers can be used to supplement professional judgment in the area of premium loadings for non-participating business. The methods are also of interest in connection with participating business.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 103 , Issue 2 , September 1976 , pp. 205 - 212
Copyright
Copyright © Institute and Faculty of Actuaries 1976

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References

REFERENCES

(1) Pollard, A. H. and Pollard, J. H. (1969). A stochastic approach to actuarial functions. J.I.A., 95, 79–113.Google Scholar
(2) Pollard, J. H. (1971). On fluctuating interest rates. Bulletin de l'Association Royale des Actuaires Belges, 66, 68–97.Google Scholar
(3) Cox, D. R. and Miller, H. D. (1964). The Theory of Stochastic Processes, 281–284.Google Scholar
(4) Parzen, E. (1962). Stochastic Processes, Holden-Day, San Francisco.Google Scholar